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I thing an example would speak best of all:
Just asked on Programmers (actually migrated from StackOverflow):
Please remind me of a famous programming quote!
There is a perfect duplicate:
But it's impossible to close the question as a duplicate because the duplicate is on another site.
How shall we proceed? Migrate the question back to SO?
I think the best course of action in this specific case would actually be to migrate the Great programming quotes question to P.SE. It's a better fit there than it is on SO. Then you could close the newer question as a duplicate like you want to.
In reference to the larger suggestion of being able to close a question as a duplicate of a question on another site, that just sounds too complicated and I doubt anyone would even use it much anyway. Think about it... how often is anyone going to go rooting around on another site looking for duplicates when users usually don't even search enough for duplicates on the current site they're on. Besides, if a duplicate exists on another site it sounds more like an issue to be dealt with by migration (i.e. one of them is probably in the wrong place).
